Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
Year of publication
2020
Authors
Laukkarinen, Eija
Abstract
We consider Malliavin smoothness of random variables f(X1), where X is a purejump Lévy process and the functionfis either bounded and Hölder continuousor of bounded variation. We show that Malliavin differentiability and fractional differentiability off (X1) depend both on the regularity offand the Blumenthal-Getoor index of the Lévy measure.
Show moreOrganizations and authors
Publication type
Publication format
Article
Parent publication type
Journal
Article type
Original article
Audience
ScientificPeer-reviewed
Peer-ReviewedMINEDU's publication type classification code
A1 Journal article (refereed), original researchPublication channel information
Volume
130
Issue
8
Pages
4766-4792
ISSN
Publication forum
Publication forum level
2
Open access
Open access in the publisher’s service
No
Self-archived
Yes
Other information
Fields of science
Mathematics
Keywords
[object Object],[object Object]
Publication country
Netherlands
Internationality of the publisher
International
Language
English
International co-publication
No
Co-publication with a company
No
DOI
10.1016/j.spa.2020.01.016
The publication is included in the Ministry of Education and Culture’s Publication data collection
Yes